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Stochastic Volatility

См. также в других словарях:

  • Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… …   Wikipedia

  • Stochastic Volatility - SV — A statistical method in mathematical finance in which volatility and codependence between variables is allowed to fluctuate over time rather than remain constant. Stochastic in this sense refers to successive values of a random variable that are… …   Investment dictionary

  • Volatility (finance) — Volatility most frequently refers to the standard deviation of the continuously compounded returns of a financial instrument with a specific time horizon. It is often used to quantify the risk of the instrument over that time period. Volatility… …   Wikipedia

  • Volatility smile — In finance, the volatility smile is a long observed pattern in which at the money options tend to have lower implied volatilities than in or out of the money options. The pattern displays different characteristics for different markets and… …   Wikipedia

  • Stochastic differential equation — A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process. SDE are used to model diverse phenomena such as… …   Wikipedia

  • Volatility clustering — In finance, volatility clustering refers to the observation, as noted by Mandelbrot, that large changes tend to be followed by large changes, of either sign, and small changes tend to be followed by small changes. A quantitative manifestation of… …   Wikipedia

  • Stochastic modelling (insurance) — This page is concerned with the stochastic modelling as applied to the insurance industry. For other stochastic modelling applications, please see Monte Carlo method. For mathematical definition, please see Stochastic process.tochastic model… …   Wikipedia

  • Stochastic oscillator — The stochastic oscillator is a momentum indicator used in technical analysis, introduced by George Lane in the 1950s, to compare the closing price of a commodity to its price range over a given time span.This indicator is usually calculated… …   Wikipedia

  • SABR Volatility Model — In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for Stochastic Alpha, Beta, Rho , referring to the parameters of the model.The SABR… …   Wikipedia

  • Local Volatility — A model used in quantitative finance to calculate the unpredictability of the underlying current asset of a financial derivative. Because of the treatment of the underlying asset price as the sole random variable, local volatility models are not… …   Investment dictionary

  • Implied volatility — In financial mathematics, the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, given a particular pricing model,… …   Wikipedia

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